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ORCIDFinance and Stochastics, Volume 19
Volume 19, Number 1, January 2015
- Dmitry O. Kramkov
:
Existence of an endogenously complete equilibrium driven by a diffusion. 1-22 - Irina Penner, Anthony Reveillac:
Risk measures for processes and BSDEs. 23-66 - Zachary Feinstein, Birgit Rudloff:
Multi-portfolio time consistency for set-valued convex and coherent risk measures. 67-107 - Caroline Hillairet, Ying Jiao:
Portfolio optimization with insider's initial information and counterparty risk. 109-134 - Oleksii Mostovyi:
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption. 135-159 - Pietro Siorpaes:
Optimal investment and price dependence in a semi-static market. 161-187 - David Hobson, Martin Klimmek:
Robust price bounds for the forward starting straddle. 189-214
Volume 19, Number 2, April 2015
- Paolo Guasoni, Miklós Rásonyi:
Fragility of arbitrage and bubbles in local martingale diffusion models. 215-231 - Andrey Krishenik, Andreea Minca, Johannes Wissel:
When do creditors with heterogeneous beliefs agree to run? 233-259 - Cecilia Mancini, Vanessa Mattiussi, Roberto Renò:
Spot volatility estimation using delta sequences. 261-293 - Marcus C. Christiansen, Andreas Niemeyer:
On the forward rate concept in multi-state life insurance. 295-327 - Jean-François Chassagneux, Romuald Elie, Idris Kharroubi:
When terminal facelift enforces delta constraints. 329-362 - Albert Altarovici, Johannes Muhle-Karbe, Halil Mete Soner:
Asymptotics for fixed transaction costs. 363-414 - Salvatore Federico, Paul Gassiat, Fausto Gozzi:
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation. 415-448 - Peter Bank, Dmitry O. Kramkov:
A model for a large investor trading at market indifference prices. I: Single-period case. 449-472
Volume 19, Number 3, July 2015
- Paolo Guasoni, Gu Wang:
Hedge and mutual funds' fees and the separation of private investments. 473-507 - Philipp A. Mayer, Natalie Packham, Wolfgang M. Schmidt:
Static hedging under maturity mismatch. 509-539 - Romuald Elie, Emmanuel Lépinette:
Approximate hedging for nonlinear transaction costs on the volume of traded assets. 541-581 - Jan Kallsen, Paul Krühner:
On a Heath-Jarrow-Morton approach for stock options. 583-615 - Amel Bentata, Rama Cont:
Forward equations for option prices in semimartingale models. 617-651 - Jin Hyuk Choi, Kasper Larsen:
Taylor approximation of incomplete Radner equilibrium models. 653-679 - Denis Belomestny, Mark S. Joshi, John Schoenmakers:
Addendum to: Multilevel dual approach for pricing American style derivatives. 681-684
Volume 19, Number 4, October 2015
- Peter Imkeller, Nicolas Perkowski:
The existence of dominating local martingale measures. 685-717 - Tahir Choulli, Jun Deng, Junfeng Ma:
How non-arbitrage, viability and numéraire portfolio are related. 719-741 - Christa Cuchiero, Josef Teichmann:
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing. 743-761 - Paul Embrechts, Bin Wang, Ruodu Wang:
Aggregation-robustness and model uncertainty of regulatory risk measures. 763-790 - Peter Grandits:
An optimal consumption problem in finite time with a constraint on the ruin probability. 791-847 - Fred Espen Benth, Nils Detering:
Pricing and hedging Asian-style options on energy. 849-889 - Agostino Capponi, José E. Figueroa-López, Andrea Pascucci:
Dynamic credit investment in partially observed markets. 891-939 - Lingfei Li, Vadim Linetsky:
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. 941-977 - (Withdrawn) The distribution of the maximum of a variance gamma process and path-dependent option pricing. 979-993
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